This repository contains the code necessary to reproduce the results in Pimentel, Risstad & Westgaard (2022): Predicting Interest Rate Distributions using PCA Quantile Regression , Digital Finance (forthcoming).
'Estimate_PCAQREG.R' estimates the PCA-QREG model and exports quantile estimates to .csv files. Running the full out-of-sample estimation takes a couple of hours.
'Table2_Table3.R' reproduces Table 2 and Table 3 in the paper, and can be run without running 'Estimate_PCAQREG.R' first.
'Figure4.mlx' reproduces figure 4 in the paper, and can be run without running 'Estimate_PCAQREG.R' first.
'Table4.R' reproduces Table 4 in the paper, and can be run without running 'Estimate_PCAQREG.R' first.
The remaining files R and Matlab files contain helper functions.